IDEAS home Printed from https://ideas.repec.org/a/eee/apmaco/v274y2016icp745-761.html
   My bibliography  Save this article

An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion

Author

Listed:
  • Milošević, Marija

Abstract

This paper represents a contribution to the analysis of approximate methods for stochastic differential equations based on the application of Taylor expansion, under the Lipschitz and linear growth conditions. The Lp and almost sure convergence of the appropriate approximate solutions are considered for a class of neutral stochastic differential equations with time-dependent delay. Coefficients of the approximate equations, including the neutral term, are Taylor approximations of the coefficients of the initial equation up to the first derivatives. For p ≥ 2, the rate of the Lp-convergence of the sequence of approximate solutions to the exact solution is estimated as 2lp−12l, where l > 1 is an integer. The presence of the neutral term in the equation reflected to the rate of convergence.

Suggested Citation

  • Milošević, Marija, 2016. "An explicit analytic approximation of solutions for a class of neutral stochastic differential equations with time-dependent delay based on Taylor expansion," Applied Mathematics and Computation, Elsevier, vol. 274(C), pages 745-761.
    • Handle: RePEc:eee:apmaco:v:274:y:2016:i:c:p:745-761
    DOI: 10.1016/j.amc.2015.11.026
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0096300315015088
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.amc.2015.11.026?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:274:y:2016:i:c:p:745-761. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.